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EkfdPredict and GmekfPredict classes and tests - #7

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EkfdPredict and GmekfPredict classes and tests#7
bschneiderheinze wants to merge 4 commits into
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@bschneiderheinze

@bschneiderheinzebschneiderheinze commented Oct 28, 2025

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Added classes for EkfdPredict and GmekfPredict to filters, and respective tests to tests. The tests should be comprehensive and they fully pass.

@bschneiderheinze
Added EkfdUpdate to KalmanFilter.py and GmekfUpdate to Gmkf.py
058a27e
@bschneiderheinze
Added tests for EkfdPredict and GmekfPredict to test_filters.py, whic…
e5a0f3b
…h both pass. EkfdPredict test checked against manual ekf update, checked that a diagonal H implies a diagonal W, and checked against KfdPredict for linear measurements. GmekfPredict test checked against EkfdPredict for single mixand, checked that weights get heavily scaled down for non-agreeing measurements, and checked against GmkfPredict for linear measurements.
@bschneiderheinze
Added comments defining h function to EkfdUpdate and GmekfUpdate
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keithalegrand
keithalegrand reviewed Oct 29, 2025
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keithalegrand
keithalegrand reviewed Oct 29, 2025
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keithalegrand
keithalegrand reviewed Oct 29, 2025
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keithalegrand
keithalegrand reviewed Oct 29, 2025
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keithalegrand
keithalegrand requested changes Oct 29, 2025
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Comment threadpyest/filters/KalmanFilter.py Outdated
Comment threadpyest/filters/KalmanFilter.py
Comment threadpyest/filters/Gmkf.py Outdated
Comment threadpyest/filters/KalmanFilter.py Outdated
Comment threadpyest/filters/KalmanFilter.py Outdated
(ny,ny) measurement noise covariance matrix
H : ndarray or callable
(nz,nx) measurement Jacobian matrix
z_k = H(tk, xk, *args) @ x. If provided an ndarray instead, H will

@keithalegrandkeithalegrandOct 29, 2025

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Here, we may want to force the user to specify H as a callable to avoid user errors caused by using an incorrect constant Jacobian

@bschneiderheinzebschneiderheinzeOct 29, 2025

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I changed it to be consistent with the handling of F in EkfdPredict, where it is documented as a callable but if provided an ndarray is still recast as a callable. I can add an error/warning if we want that though.

Comment threadpyest/filters/KalmanFilter.py Outdated
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@bschneiderheinze@keithalegrand